Messages in Sent are pretty much stand-alone. I'm not sure what you'd expect to be joined up with what.

I file incoming and outgoing messages together, by topic, correspondent or context. Then the threading works.

My inbox is my to do list. I keep all mail there until the task is done. So you want to have all the mail there. I could create a to do folder but then I'd have to move the sent mail there one by one. I wouldn't want to store all outgoing mail in the to do folder because not ever outgoing mail is associated with a task / to do chain.

Gmail which I just switched from does this ... show the sent in the thread in the inbox.

There is a Conversations add-on that specifically sets out to mimic the way Google do it. Also, you might find that there is already a conversation view in Thunderbird, but I don't know how good it is in respect of pulling in messages scattered over multiple folders. Select several messages, right click and select "View in conversation".

I don't use the Conversations add-on myself. Firstly, I don't need it, having settled on my own way of managing workflow, and secondly, I find it breaks too many other things.

BTW, much of my filing is automated, either by filters to manage incoming messages, or addons to save sent messages alongside those to which i am replying. You could also look at use of tags and stars to manage your important or urgent messages.